Ivolution Research Journal · Working paper
Variance-risk-premium extreme -> forward realized undershoot (harvest)
Sessions where the IV-RV variance-risk-premium sits in the top quintile of trailing 60 sessions are followed by forward realized range UNDERSHOOTING the implied by more than the matched baseline over the next 1/3/5 sessions.
Cite as: VRP-09: Variance-risk-premium extreme -> forward realized undershoot (harvest). Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for VRP-09 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session · 3 sessions · 5 sessions